Testing seasonality in the liquidity-return relation: Japanese evidence

Yuk Ying Chang; Robert Faff; Chuan Yang Hwang

doi:10.1080/17446540802599705

Testing seasonality in the liquidity-return relation: Japanese evidence

Yuk Ying Chang, Robert Faff^*, Chuan Yang Hwang

^*Corresponding author for this work

Research output: Contribution to journal › Article › Research › peer-review

6 Citations (Scopus)

Abstract

We study liquidity (share turnover) effects of stock returns and their seasonality using Japanese data. We find a significant and negative turnover/return relation. Moreover, we find that the liquidity effect is not impacted by either January or June seasonality. There is weak evidence that stocks with higher liquidity risk have on average higher rates of return for non-June months.

Original language	English
Pages (from-to)	951-954
Number of pages	4
Journal	Applied Economics Letters
Volume	17
Issue number	10
DOIs	https://doi.org/10.1080/17446540802599705
Publication status	Published - Jul 2010
Externally published	Yes

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title = "Testing seasonality in the liquidity-return relation: Japanese evidence",

abstract = "We study liquidity (share turnover) effects of stock returns and their seasonality using Japanese data. We find a significant and negative turnover/return relation. Moreover, we find that the liquidity effect is not impacted by either January or June seasonality. There is weak evidence that stocks with higher liquidity risk have on average higher rates of return for non-June months.",

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AB - We study liquidity (share turnover) effects of stock returns and their seasonality using Japanese data. We find a significant and negative turnover/return relation. Moreover, we find that the liquidity effect is not impacted by either January or June seasonality. There is weak evidence that stocks with higher liquidity risk have on average higher rates of return for non-June months.

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Testing seasonality in the liquidity-return relation: Japanese evidence

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